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I wrote something like this awhile back ( SFO ) i.e. a Signal File
Optimizer which will allow combining of signals that with IO could
be optimized for signal weights and percent invested long /
short ...
Is that more or less what you are looking for ?
--- In amibroker@xxxxxxxxxxxxxxx, "Brian" <brianrichard99@xxx> wrote:
>
> ChrisB,
>
> No problemo. Do what you can and get back to me later.
>
> Basically, I am talking about building an include (modular code)
> that weights buy/sell signals according to a percentage (of all
> available signals), rather than a static number. I haven't thought
> it out too much, but this seems like something many system
> developers would want, so if I build it -- it goes in the AFL
> library -- where the others can pick on my code and clean it up
for
> me ;-) I'm a data guru more than a programmer these days.
>
> Thanks,
>
> Brian
>
> --- In amibroker@xxxxxxxxxxxxxxx, kris45mar <kris45mar@> wrote:
> >
> > Brian
> >
> > You've lost me, I'm afraid. This is clearly way ahead of where
I
> would hope to be with AFL and system design, even some time from
> now, but the ideas are intriguing.
> >
> > Regards.
> >
> > ChrisB
> >
> > Brian <brianrichard99@> wrote: So far it looks like I
> will be weighting signals based on 1) how
> > consistently leading the indicator is, and 2) various ratios
> used to
> > identify profitability during the optimization process.
> Currently my
> > signals are all equal weight. As I get used to how the system
> > performs in papertrading, I will tweak the weights
accordingly.
> I
> > will be writing some code to give each indicator a ratio
> relative to
> > all other signal ratios in its signal group. That way I don't
> have
> > to assign a number, which would force me to become refamiliar
> with a
> > new signal range (1-100 is now 1-120, etc.). The results in AA
> would
> > then come out as percentages instead of integers, that way.
> >
> > If you come up with a better weighting method please send me
an
> > email at brian (at) brianrichard (dot) com.
> >
> > Thanks!
> >
> > Brian
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, kris45mar <kris45mar@> wrote:
> > >
> > > Brian
> > >
> > > Good feedback, thanks.
> > >
> > > Yes "feeler trades" is basically where I am at at the
> moment.
> > Keep probing the market, if good, add more, if bad, too bad.
> > >
> > > A recent presentation in Perth by a systems developer (who
> sells
> > his signals commercially so I am not interested: I am too pig
> > headed for this I suppose) is based on this principle. He
runs
> 10
> > systems over the top 30 US stocks. If on any day there are 7
or
> > more buy signals from the individual systems, this is his buy
> > recommendation. Sort of a weight of evidence theory. Seems
> based on
> > sound statistics, thousands of trades in his stats, stop and
> > reverse system, in and out of sample testing with smooth
equity
> > curve and manageable drawdowns. EOD only and entry/exit on
open.
> > >
> > > Similar I guess to what you are doing by weighting your
> signals.
> > This may ultimately where I am headed.
> > >
> > > Sounds like I have more coding to learn: half the fun,
> though.
> > >
> > > Regards
> > >
> > > ChrisB
> > >
> > > Brian <brianrichard99@> wrote: ChrisB,
> > >
> > > I just completed another "system" that's comprised of
about
> 15
> > > different proprietary indicators, all of them optimized
for
> both
> > EOD
> > > and Weekly timeframes, as well as for a specific group of
> 500
> > > stocks, ETFs and CEFs. I used to look at just two or three
> > > indicators (a "system"), but found each indicator has its
> unique
> > > weakness. So now I just go with looking at all of the
> signals
> > that
> > > all of my best indicators generate. I weight each signal.
I
> also
> > > look at signals that are up to 3 bars old, and weight
those
> > signals
> > > less.
> > >
> > > I will eventually try to automate all of this
optimization.
> Not
> > > there yet.
> > >
> > > I also separated out trending signals from daily buy/sell
> > signals,
> > > so I really have a separate trend system as well.
> > >
> > > I've read more than once, from reading passages written by
> very
> > > profitable traders, that their systems generally take the
> same
> > form
> > > as the one I've created. Very few boil everything down to
> one
> > type
> > > of trade that they do over and over. Problem with those
> single
> > setup
> > > trades is you still need to look at all important
variables
> > outside
> > > of the setup that can affect the setup. A mentor
statistican
> > friend
> > > of mine recommended I build in an additional "trade
> > cancellation"
> > > system that lets me know when outside variables are
building
> > against
> > > the system signal. This helps me sort the best trades out
> from
> > the
> > > bunch.
> > >
> > > I am using no equity curve. IMO that would just seem to
add
> > another
> > > layer of unnecessary complexity. Focus on money
management --
>
> > > scaling and scaling out, user "feeler" trades, etc. That
> will
> > likely
> > > get you farther down the road. My personal goal is to use
my
> > system
> > > to identify good trades for my discretionary style of
> trading.
> > >
> > > Just my toe scents.
> > >
> > > ~Brian
> > >
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, kris45mar <kris45mar@>
> wrote:
> > > >
> > > > Phew, Yuki.
> > > >
> > > > Honoured to humbled to receive your lengthy reply.
> Please be
> > > warned: this inspirational, supportive ( and midly
> cajoling )
> > reply
> > > ( thank you! ) may be transferred into my "Yuki says"
> > handbook!
> > > Everything you say strikes a resonant note though, and is
> taken
> > in
> > > good spirit.
> > > >
> > > > I have 25% DD with 4 wins out of the last 30
> discretionary
> > > trades.
> > > > Looking through my last two years' trades tells me
that
> what
> > > worked in 2004 is not working in 2005/6. This brings me
to
> the
> > > point in my 2005 trading plan where I defined conditions
to
> > stop
> > > trading. I now need a change of direction: the plan is to
> > continue
> > > to explore AB, AFL and the superb posts on this board
> towards
> > > developing a mechanical system. It can't be that hard for
> me to
> > > develope one that does better than my 2005 trading year.
> > Whether I
> > > can then actually trade it is a whole different ball game.
> > > >
> > > > You said:
> > > >
> > > > "
> > > > And thank goodness not everyone can do this. We need
> some
> > > productive
> > > > members of society, too. ^_-
> > > > "
> > > >
> > > > LOL.... and yet the lesson we learn about ourselves by
> > trading
> > > can make us more productive in other areas!
> > > >
> > > > In summary:
> > > >
> > > > You will never avoid drawdowns: agreed.
> > > > Sharper gains (with a reliable system) may come when
the
> > equity
> > > curve is below its MA. Sounds logical, and worth exploring.
> > > >
> > > > All I am asking is this:
> > > >
> > > > Markets change over time (that is why there is no Holy
> > Grail)
> > > and so should our systems, or the ones we choose to trade
> with,
> > not
> > > respond to this? Or we may choose to stand aside for a
> while.
> > Or
> > > just trade different markets with concurrently different
> > systems to
> > > create a smoother equity curve overall?
> > > >
> > > > Could you comment on whether you trade with one system
> only
> > or
> > > more than one? And if more than one, what would be a
> trigger to
> > > change if the Equity curve is not the signal to do so?
> > Drawdowns?
> > > Sleepless nights? Declining expectancy? This has to part
of
> our
> > > business plan after all. In 2004 I achieved my trading
> goals,
> > 2005
> > > was not a successful one. Message: time to stop doing
what
> I am
> > > doing: it is not working. Do something else. The goal
then
> is
> > to
> > > replace what I am doing with something that does work.
> > > >
> > > > I realise the answers to these questions are personal,
> but
> > it
> > > is invaluable to get some insight to the philosophies of
> > others, in
> > > an attempt to know where to start.
> > > >
> > > > Regards
> > > >
> > > > ChrisB
> > > >
> > > >
> > > >
> > > > Yuki Taga <yukitaga@> wrote: Hi kris45mar,
> > > >
> > > > Monday, March 13, 2006, 11:35:06 PM, you wrote:
> > > >
> > > > k> b. When the Equity is above the MA, then take the
> > signals.
> > > >
> > > > k> c. when the equity curve falls below its MA, then
> > either.
> > > >
> > > > k> i. stop trading that system until such time
as
> the
> > > curve goes back above the MA.
> > > >
> > > > k> ii. or severely reduce position size.
> > > >
> > > > k> iii. and/or swap over to another system that
is
> now
> > > above its MA.
> > > >
> > > > You will get various opinions on this, however I think
> it
> > really
> > > > boils down to just how logical you suspect your system
> > > methodology
> > > > is, and whether you suspect it is actually and finally
> being
> > > > arbitraged out of existence.
> > > >
> > > > If the system has worked for several business cycles
in
> > various
> > > > market modes, and has never really gotten into serious
> > trouble --
> > > in
> > > > other words, it's a system you can trade -- then it
> would
> > seem
> > > to me,
> > > > and indeed is what I do, that the time to be more
> careful is
> > when
> > > > equity has been running well above the MA for some
> rather
> > lengthy
> > > > period of time. I'm inclined to bump *up* position
size
> a
> > little
> > > bit
> > > > when I start experiencing a losing streak -- in other
> words
> > when
> > > I
> > > > get mean reversion or worse of the equity curve. I
> would
> > > certainly
> > > > not stop trading when that happens. I think your gut
> > feeling is
> > > > exactly opposite of what you should do.
> > > >
> > > > The sharpest gains and nicest times you are likely to
> ever
> > have
> > > are
> > > > when equity is making the swing from below average to
> above
> > > average.
> > > > This is much more fun than the opposite, and you are
> going to
> > > > experience both. So why would you consider stopping
> trading
> > when
> > > > equity dips below average? Immediately, you would then
> be
> > > preparing
> > > > to cheat yourself out of your best performing part of
> the
> > cycle,
> > > and
> > > > you would be ready to embrace the worst cycle segment
of
> > your
> > > system:
> > > > when equity moves from above average to below average.
> > > >
> > > > In the end, it all boils down to confidence. You
either
> > have a
> > > > viable system, or you don't. If you have one, follow
> it.
> > If you
> > > > can't stand the drawdowns ... IMHO, you don't have a
> viable
> > > system,
> > > > and probably should not be trading it. No one should
> trade
> > any
> > > > system that has drawdowns they cannot stomach, and
> stomach
> > > > comfortably, probably max system percentage drawdown
> times
> > two,
> > > maybe
> > > > times 2.5 or three.
> > > >
> > > > But if you really do have a system, take every signal.
> > Period.
> > > If you
> > > > want to "play" your system a little bit, consider
> something
> > like
> > > > *lightening* position size -- slightly -- when equity
> has
> > been
> > > > running above average for some period of time, and
> > *increasing*
> > > it
> > > > ... again, slightly ... when equity has been running
> below
> > the
> > > line
> > > > for some time. You have to judge when these
conditions
> > might
> > > apply
> > > > after carefully analyzing your system yourself.
> > > >
> > > > But using the MA of equity to flatly refuse or take
> signals
> > is
> > > simply
> > > > a different form of "Holy Grailism". It is a fear of
> taking
> > > losers,
> > > > or an attempt to altogether avoid taking losers, which
> > absolutely
> > > > must be taken in any systematic trading. You simply
have
> to
> > have
> > > a
> > > > system in which you can *stand* to take the losers,
and
> be
> > > > comfortable with them. If you don't, you can't trade
> it,
> > and
> > > playing
> > > > around using the equity curve as an ultimate filter is
> not
> > > likely to
> > > > made a dangerous system safe, or an uncomfortable
system
> > > comfortable.
> > > >
> > > > You will never, ever, find a system that has an equity
> curve
> > that
> > > > doesn't dance on both sides of a MA. Life doesn't
work
> that
> > > way. But
> > > > if the curve is obviously solid, in other words, a
real
> > curve or
> > > > slope, and not an amusement park thrill ride, and all
> the
> > metrics
> > > > look nice over thousands of trades and many years, you
> may
> > want
> > > to
> > > > think about doing exactly the opposite of what your
gut
> > tells you
> > > > when you hit a soft patch.
> > > >
> > > > OTOH, if the last sentence above applies ... why
stress
> > yourself
> > > at
> > > > all? Take the *&$% signals as they come, and relax.
> ^_^
> > If you
> > > > cannot stand a loss the magnitude of which would tell
> you
> > that,
> > > > indeed, your system is no longer functioning, you are
> > probably
> > > not
> > > > well enough capitalized to be in this business. Not
> > everybody
> > > is.
> > > > And thank goodness not everyone can do this. We need
> some
> > > productive
> > > > members of society, too. ^_-
> > > >
> > > > Yuki
> > > >
> > > >
> > > >
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> > users
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